Azure DevOps is a large product with many features and you forgot to explain what you want to achieve and where you got stuck. Please provide more details next time, so we can address what you actually need, instead of just trying to guess it.
Anyway, I'm assuming that you're interested in source control at the moment. Have you already decided whether you want to use TFVC or Git? Were you able to create a team project?
To actually connect, open Team Explorer in Visual Studio, click the Manage Connections icon and do it there. You'll be able to choose the team project afterwards.
Also, you may want configure the source control system used by Visual Studio under Tools > Options > Source Control.